In Search of Leading Indicators of Economic Activity in Germany

28 Pages Posted: 23 Oct 2001

See all articles by Harm Bandholz

Harm Bandholz

University of Hamburg

Michael Funke

University of Hamburg - Department of Economics; Tallinn University of Technology (TUT)

Date Written: October 2001

Abstract

In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions.

Keywords: Business Cycles, Leading Indicators, Turning Points, Markov Switching, Germany

JEL Classification: C32, C53

Suggested Citation

Bandholz, Harm and Funke, Michael, In Search of Leading Indicators of Economic Activity in Germany (October 2001). Available at SSRN: https://ssrn.com/abstract=287114 or http://dx.doi.org/10.2139/ssrn.287114

Harm Bandholz

University of Hamburg

Von-Melle-Park 5
20146 Hamburg
Germany

Michael Funke (Contact Author)

University of Hamburg - Department of Economics ( email )

Von-Melle-Park 5
room 2128 C rise
Hamburg, 20146
Germany

Tallinn University of Technology (TUT) ( email )

Ehitajate tee 5
Tallinn, 12618
Estonia

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